Euribor US Spread
In plain terms
EU 3M rate over US → short EU country ETFs.
How it works
EU 3M minus US 3M spread captures cross-border bank stress.
Data dependencies
- Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- significant t-stat
- Tested over
- 2003-2013
Crémers-Vasquez 2014: significant t-stat 1-3mo.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Swap-Treasury spread blowout → short financials 1-3 months.
Watch the corporate-bond credit spread — when it compresses sharply, high-beta names rip; when it widens sharply, they get hammered. We trade the regime change.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore Euribor US Spread on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.